public void test_gbpSonia_dates() { OvernightIndex test = OvernightIndex.of("GBP-SONIA"); assertEquals(test.calculatePublicationFromFixing(date(2014, 10, 13), REF_DATA), date(2014, 10, 13)); assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 13), REF_DATA), date(2014, 10, 13)); assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 13), REF_DATA), date(2014, 10, 14)); assertEquals(test.calculateFixingFromEffective(date(2014, 10, 13), REF_DATA), date(2014, 10, 13)); assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 13), REF_DATA), date(2014, 10, 14)); // weekend assertEquals(test.calculatePublicationFromFixing(date(2014, 10, 10), REF_DATA), date(2014, 10, 10)); assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 10), REF_DATA), date(2014, 10, 10)); assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 10), REF_DATA), date(2014, 10, 13)); assertEquals(test.calculateFixingFromEffective(date(2014, 10, 10), REF_DATA), date(2014, 10, 10)); assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 10), REF_DATA), date(2014, 10, 13)); // input date is Sunday assertEquals(test.calculatePublicationFromFixing(date(2014, 10, 12), REF_DATA), date(2014, 10, 13)); assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 12), REF_DATA), date(2014, 10, 13)); assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 12), REF_DATA), date(2014, 10, 14)); assertEquals(test.calculateFixingFromEffective(date(2014, 10, 12), REF_DATA), date(2014, 10, 13)); assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 12), REF_DATA), date(2014, 10, 14)); }
public void test_usdFedFund_dates() { OvernightIndex test = OvernightIndex.of("USD-FED-FUND"); assertEquals(test.calculatePublicationFromFixing(date(2014, 10, 27), REF_DATA), date(2014, 10, 28)); assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 27), REF_DATA), date(2014, 10, 27)); assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 27), REF_DATA), date(2014, 10, 28)); assertEquals(test.calculateFixingFromEffective(date(2014, 10, 27), REF_DATA), date(2014, 10, 27)); assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 27), REF_DATA), date(2014, 10, 28)); // weekend and US holiday assertEquals(test.calculatePublicationFromFixing(date(2014, 10, 10), REF_DATA), date(2014, 10, 14)); assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 10), REF_DATA), date(2014, 10, 10)); assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 10), REF_DATA), date(2014, 10, 14)); assertEquals(test.calculateFixingFromEffective(date(2014, 10, 10), REF_DATA), date(2014, 10, 10)); assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 10), REF_DATA), date(2014, 10, 14)); // input date is Sunday, 13th is US holiday assertEquals(test.calculatePublicationFromFixing(date(2014, 10, 12), REF_DATA), date(2014, 10, 15)); assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 12), REF_DATA), date(2014, 10, 14)); assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 12), REF_DATA), date(2014, 10, 15)); assertEquals(test.calculateFixingFromEffective(date(2014, 10, 12), REF_DATA), date(2014, 10, 14)); assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 12), REF_DATA), date(2014, 10, 15)); }
LocalDate dateMat = CHF_TOIS.calculateMaturityFromFixing(FIXING_DATES[5], REF_DATA); OvernightIndexObservation obs = OvernightIndexObservation.of(CHF_TOIS, FIXING_DATES[lastFixing], REF_DATA); when(mockRates.periodRate(obs, dateMat)).thenReturn(rateCmp);
LocalDate dateMat = CHF_TOIS.calculateMaturityFromFixing(FIXING_DATES[5], REF_DATA); OvernightIndexObservation obs = OvernightIndexObservation.of(CHF_TOIS, FIXING_DATES[lastFixing], REF_DATA); when(mockRates.periodRate(obs, dateMat)).thenReturn(rateCmp);
public void test_calculate() { OvernightCompoundedAnnualRateComputation test = sut(); assertEquals( test.calculateEffectiveFromFixing(date(2016, 2, 24)), BRL_CDI.calculateEffectiveFromFixing(date(2016, 2, 24), REF_DATA)); assertEquals( test.calculateFixingFromEffective(date(2016, 2, 24)), BRL_CDI.calculateFixingFromEffective(date(2016, 2, 24), REF_DATA)); assertEquals( test.calculatePublicationFromFixing(date(2016, 2, 24)), BRL_CDI.calculatePublicationFromFixing(date(2016, 2, 24), REF_DATA)); assertEquals( test.calculateMaturityFromFixing(date(2016, 2, 24)), BRL_CDI.calculateMaturityFromFixing(date(2016, 2, 24), REF_DATA)); assertEquals( test.calculateMaturityFromEffective(date(2016, 2, 24)), BRL_CDI.calculateMaturityFromEffective(date(2016, 2, 24), REF_DATA)); }
public void test_calculate() { OvernightAveragedDailyRateComputation test = OvernightAveragedDailyRateComputation.of(USD_FED_FUND, date(2016, 2, 24), date(2016, 3, 24), REF_DATA); assertEquals( test.calculateEffectiveFromFixing(date(2016, 2, 24)), USD_FED_FUND.calculateEffectiveFromFixing(date(2016, 2, 24), REF_DATA)); assertEquals( test.calculateFixingFromEffective(date(2016, 2, 24)), USD_FED_FUND.calculateFixingFromEffective(date(2016, 2, 24), REF_DATA)); assertEquals( test.calculatePublicationFromFixing(date(2016, 2, 24)), USD_FED_FUND.calculatePublicationFromFixing(date(2016, 2, 24), REF_DATA)); assertEquals( test.calculateMaturityFromFixing(date(2016, 2, 24)), USD_FED_FUND.calculateMaturityFromFixing(date(2016, 2, 24), REF_DATA)); assertEquals( test.calculateMaturityFromEffective(date(2016, 2, 24)), USD_FED_FUND.calculateMaturityFromEffective(date(2016, 2, 24), REF_DATA)); }
public void test_calculate() { OvernightAveragedRateComputation test = OvernightAveragedRateComputation.of(USD_FED_FUND, date(2016, 2, 24), date(2016, 3, 24), REF_DATA); assertEquals( test.calculateEffectiveFromFixing(date(2016, 2, 24)), USD_FED_FUND.calculateEffectiveFromFixing(date(2016, 2, 24), REF_DATA)); assertEquals( test.calculateFixingFromEffective(date(2016, 2, 24)), USD_FED_FUND.calculateFixingFromEffective(date(2016, 2, 24), REF_DATA)); assertEquals( test.calculatePublicationFromFixing(date(2016, 2, 24)), USD_FED_FUND.calculatePublicationFromFixing(date(2016, 2, 24), REF_DATA)); assertEquals( test.calculateMaturityFromFixing(date(2016, 2, 24)), USD_FED_FUND.calculateMaturityFromFixing(date(2016, 2, 24), REF_DATA)); assertEquals( test.calculateMaturityFromEffective(date(2016, 2, 24)), USD_FED_FUND.calculateMaturityFromEffective(date(2016, 2, 24), REF_DATA)); }
public void test_calculate() { OvernightCompoundedRateComputation test = OvernightCompoundedRateComputation.of(USD_FED_FUND, date(2016, 2, 24), date(2016, 3, 24), REF_DATA); assertEquals( test.calculateEffectiveFromFixing(date(2016, 2, 24)), USD_FED_FUND.calculateEffectiveFromFixing(date(2016, 2, 24), REF_DATA)); assertEquals( test.calculateFixingFromEffective(date(2016, 2, 24)), USD_FED_FUND.calculateFixingFromEffective(date(2016, 2, 24), REF_DATA)); assertEquals( test.calculatePublicationFromFixing(date(2016, 2, 24)), USD_FED_FUND.calculatePublicationFromFixing(date(2016, 2, 24), REF_DATA)); assertEquals( test.calculateMaturityFromFixing(date(2016, 2, 24)), USD_FED_FUND.calculateMaturityFromFixing(date(2016, 2, 24), REF_DATA)); assertEquals( test.calculateMaturityFromEffective(date(2016, 2, 24)), USD_FED_FUND.calculateMaturityFromEffective(date(2016, 2, 24), REF_DATA)); }